RATS for UNIX 7.10. Run on Jul 14 2015
(c) 1992-2007 Thomas A. Doan. All rights reserved



Two-quarter-ahead forecasts


Errors from model using real-time gap, six-lag model
RMSE    =  0.50    N =  43


Errors from model using final gap, six-lag model
RMSE    =  0.50    N =  43


Errors from model with no gap at all (six lags)
RMSE    =  0.60    N =  43


Errors from constrained AR(6) model
RMSE    =  0.60    N =  43


Errors from unconstrained AR(6) model
RMSE    =  0.54    N =  43




Four-quarter-ahead forecasts


Errors from model using real-time gap, six-lag model
RMSE    =  0.49    N =  43


Errors from model using final gap, six-lag model
RMSE    =  0.51    N =  43


Errors from model with no gap at all (six lags)
RMSE    =  0.65    N =  43


Errors from constrained AR(6) model
RMSE    =  0.69    N =  43


Errors from unconstrained AR(6) model
RMSE    =  0.55    N =  43




Forecasts of average over next four quarters


Errors from model using real-time gap, six-lag model
RMSE    =  0.31    N =  43


Errors from model using final gap, six-lag model
RMSE    =  0.31    N =  43


Errors from model with no gap at all, six-lag model
RMSE    =  0.47    N =  43


Errors from constrained AR(6) model
RMSE    =  0.46    N =  43


Errors from unconstrained AR(6) model
RMSE    =  0.36    N =  43




Six-quarter-ahead forecasts


Errors from model using real-time gap, six-lag model
RMSE    =  0.53    N =  43


Errors from model using final gap, six-lag model
RMSE    =  0.55    N =  43


Errors from model with no gap at all (six lags)
RMSE    =  0.76    N =  43


Errors from constrained AR(6) model
RMSE    =  0.80    N =  43


Errors from unconstrained AR(6) model
RMSE    =  0.54    N =  43





R-squared, full model =        0.90558
R-squared, model without gap term =        0.89658


Tabulated sum of lag coefficients from rolling estimates of unrestricted AR model


Statistics on Series SUM_AR6
Quarterly Data From 1946:01 To 1956:03
Observations                  43
Sample Mean             0.923658      Variance            0.000018
Standard Error          0.004195      of Sample Mean      0.000640
t-Statistic (Mean=0) 1443.770856      Signif Level        0.000000
Skewness               -1.301380      Signif Level (Sk=0) 0.000774
Kurtosis (excess)       1.481125      Signif Level (Ku=0) 0.068122
Jarque-Bera            16.067832      Signif Level (JB=0) 0.000324

Minimum                 0.912087      Maximum             0.930180
01-%ile                 0.912947      99-%ile             0.929619
05-%ile                 0.914253      95-%ile             0.928366
10-%ile                 0.915850      90-%ile             0.927563
25-%ile                 0.922486      75-%ile             0.926456
Median                  0.924288

